UBS

Business Context and Reporting Period

This Form 6-K filing contains the 30 June 2024 Pillar 3 Report for UBS Group AG and its significant regulated subsidiaries. The report covers the period ending 30 June 2024 and reflects the completion of the merger between UBS AG and Credit Suisse AG on 31 May 2024, as well as the transition to a single US intermediate holding company on 7 June 2024. The disclosures are prepared in accordance with Swiss Financial Market Supervisory Authority (FINMA) requirements and Basel III standards.

Key Financial Metrics (UBS Group Consolidated)

Material Changes vs. Prior Period

• Capital Ratios: Capital ratios increased primarily due to a decrease in Risk-Weighted Assets (RWA) of USD 15.1 billion, which offset a decrease in Tier 1 capital. CET1 capital decreased by USD 1.6 billion, driven by net share repurchases (USD 1.0 billion), compensation-related capital components (USD 1.0 billion), and dividend accruals (USD 0.6 billion), partially offset by operating profit before tax of USD 1.5 billion.
• Risk-Weighted Assets: RWA decreased by USD 15.1 billion, mainly driven by reductions in credit risk RWA (USD 11.1 billion) and market risk RWA (USD 1.9 billion). The credit risk reduction was largely due to the active unwinding of the Non-core and Legacy portfolio and decreases in loan balances.
• Liquidity: The quarterly average LCR decreased 8.2 percentage points to 212.0%, remaining well above the prudential requirement. This was driven by a USD 44.4 billion decrease in High-Quality Liquid Assets (HQLA), primarily due to the repayment of the remaining funding drawn under the Swiss National Bank Emergency Liquidity Assistance (ELA) facility. The NSFR increased 1.6 percentage points to 128.0%.
• Merger Impact: The filing notes that IFRS 3 measurement period adjustments totaling USD 0.5 billion were made in Q2 2024, finalizing the accounting for the Credit Suisse acquisition. Comparative periods for CET1 capital have been revised accordingly.

Guidance, Outlook, and Risks

• Basel III Implementation: UBS expects the adoption of final Basel III standards in January 2025 to lead to an increase of around 5% in Group RWA, driven mainly by the Fundamental Review of the Trading Book. The output floor will be phased in over time.
• G-SIB Buffer: The Financial Stability Board (FSB) confirmed that the additional CET1 capital buffer requirement for UBS will increase to 1.5% from 1.0% as of 1 January 2025, following the acquisition of Credit Suisse. UBS states it is not affected by these additional requirements as its Swiss SRB capital requirements remain above BCBS requirements.
• Non-Core and Legacy: Management continues to actively unwind the Non-core and Legacy portfolio, which contributed significantly to the reduction in RWA and leverage ratio denominator.
• Regulatory Scope: The report details the consolidation of Credit Suisse entities into UBS AG and the reparenting of Credit Suisse Holdings (USA), Inc. to UBS Americas Holding LLC.

Key Facts for Investor Verification

• Capital Adequacy: Verify that the CET1 ratio of 14.88% and Tier 1 ratio of 17.95% comfortably exceed the minimum requirements and buffer requirements (Total CET1 specific buffer requirements: 3.66%).
• Merger Integration: Confirm the impact of the USD 0.5 billion IFRS 3 measurement period adjustments on comparative capital figures and the finalization of the Credit Suisse acquisition accounting.
• Liquidity Position: Note the significant reduction in HQLA (USD 44.4 billion) due to the repayment of the SNB ELA facility and assess the sustainability of the LCR at 212.0%.
• Future Regulatory Impact: Monitor the projected 5% increase in RWA upon the full implementation of final Basel III standards in January 2025 and the increase in the G-SIB buffer to 1.5%.
• Share Repurchases: Verify the execution of the new 2024 share repurchase program, which included actual repurchases of USD 0.15 billion and the establishment of a USD 0.85 billion capital reserve.